It depends on a couple of factors. If file size is a problem for you, then you'd be better off making clips, rather than having one huge file. But if HD space isn't really a problem and you want better quality, then I'd suggest you go to the guides section and check out ErMaC's guide.

You do have to put the clip in premire, just not in the timeline itself. You put your clips or episodes or however you have the footage in the bin. Its pretty much just a folder that links to where your clips are so they can be all over your HD if you want them to be. Then you can double click on those files which brings up the clip window where you can set in and out points using the bracket thingys for the correct piece of footage that you want to use. Then use the same bracket thingys on your timeline to mark the place you want your footage to go. From there you just hit the insert button and make sure you have the correct destination video and audio tracks selected and there appears the part you just selected. If the footage is too long or short it will ofer to adjust speed for you or if it is a frame or two too long it will just trucate it for you if you so desire. I can't imagine putting an entire episode onto the timeline and then chopping it up to get the right clip, that would suck.

"People can not gain anything without putting forth any effort. That is the absolute Truth" - Dante, Full Metal Alchemist